Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.2444 |
| Annualized Std Dev | 0.4368 |
| Annualized Sharpe (Rf=0%) | 0.5596 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3711.0000 |
| NAs | 1.0000 |
| Minimum | -0.2428 |
| Quartile 1 | -0.0094 |
| Median | 0.0024 |
| Arithmetic Mean | 0.0012 |
| Geometric Mean | 0.0009 |
| Quartile 3 | 0.0140 |
| Maximum | 0.2459 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | 0.0004 |
| UCL Mean (0.95) | 0.0021 |
| Variance | 0.0008 |
| Stdev | 0.0275 |
| Skewness | -0.1940 |
| Kurtosis | 9.0038 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0201 |
| Gain Deviation | 0.0192 |
| Loss Deviation | 0.0221 |
| Downside Deviation (MAR=210%) | 0.0236 |
| Downside Deviation (Rf=0%) | 0.0195 |
| Downside Deviation (0%) | 0.0195 |
| Maximum Drawdown | 0.8399 |
| Historical VaR (95%) | -0.0435 |
| Historical ES (95%) | -0.0669 |
| Modified VaR (95%) | -0.0405 |
| Modified ES (95%) | -0.0677 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2012-09-06 | -0.8399 | 1222 | 339 | 883 |
| 2020-02-20 | 2020-03-20 | 2020-07-01 | -0.5172 | 93 | 22 | 71 |
| 2018-08-30 | 2018-12-24 | 2019-07-10 | -0.4246 | 215 | 80 | 135 |
| 2015-11-05 | 2016-02-09 | 2016-08-05 | -0.3078 | 189 | 65 | 124 |
| 2015-07-21 | 2015-08-25 | 2015-11-03 | -0.2647 | 75 | 26 | 49 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | -1 | -3.4 | 0.9 | -0.8 | -2.7 | -1.3 | -0.1 | -8.1 |
| 2007 | 0.1 | -1 | 0.3 | 0.6 | -0.1 | 0.6 | 1.2 | 1.7 | 1.7 | -3 | -0.7 | -1.8 | -0.4 |
| 2008 | 3.3 | -3 | 8.4 | 6.3 | 1.2 | 2.6 | -2.4 | -3.1 | -2.6 | 0.5 | -14.9 | 1.8 | -4 |
| 2009 | -3.8 | -2.1 | 2.8 | 0.5 | 6 | 0.2 | -0.7 | -3.7 | -5.8 | -5.3 | 2.1 | -1.6 | -11.5 |
| 2010 | 2.1 | 2.8 | -0.1 | -3.8 | -1.9 | -0.6 | 0.5 | 5.7 | -0.2 | 0 | 4.2 | -0.7 | 8 |
| 2011 | 3.7 | -3.2 | 0.1 | -0.1 | -4.3 | 3.1 | -0.7 | -2 | -5.1 | -5.3 | 1.4 | -0.5 | -12.6 |
| 2012 | 1.6 | 1.5 | -0.5 | 0.3 | -5.4 | 6.2 | -0.5 | 1.4 | -0.5 | 2.9 | -0.2 | 4 | 10.8 |
| 2013 | 2.3 | 0.8 | -1.4 | -0.8 | -1.9 | 1.4 | 2 | -1.3 | 2.2 | 0 | 1.1 | 1.3 | 5.8 |
| 2014 | -0.4 | -0.3 | 3.5 | 0.6 | 0.1 | 2.2 | -0.7 | 0.8 | -3.2 | 2.7 | -2.3 | -2.1 | 0.6 |
| 2015 | -1.5 | -0.9 | -1 | 2.7 | 0.6 | 1.5 | -0.2 | -6 | 0.9 | -0.9 | 2 | -2.5 | -5.4 |
| 2016 | 0.4 | 6.4 | 2.1 | -1.1 | -0.1 | 1 | 1 | 0.5 | 1.4 | -1.4 | -3.4 | -2 | 4.6 |
| 2017 | 1.4 | 2.2 | -0.1 | 1.7 | 0.9 | -0.1 | 0.4 | 0 | 1.4 | 0 | -0.9 | -1.3 | 5.6 |
| 2018 | -1.7 | -3.2 | 3.7 | 2.2 | 3.1 | 0.3 | 1.1 | 0.2 | 0.3 | 2.9 | 1.5 | 1.6 | 12.6 |
| 2019 | -0.9 | 1.5 | 2.7 | -0.8 | -3.3 | 2.6 | -1.1 | -0.4 | -1.6 | 1.9 | -0.9 | 0.4 | -0.4 |
| 2020 | -3.2 | 1 | -8.4 | -6 | 1.1 | 2.5 | 3.6 | 3.3 | 3 | -4.7 | 2.9 | 0.5 | -5.4 |
| 2021 | 4.9 | 5.9 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 12.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-21 4.52 SPY 125. 0.0074 0.0122 -0.0089 -0.0412 0.0291 0.257 0.0247 GLD 58.3 0.018 0.0487
2 2006-06-22 4.41 SPY 124. -0.0044 -0.0132 -0.0057 -0.0434 0.0238 0.265 0.0214 GLD 57.7 -0.0103 0.0072
3 2006-06-23 4.40 SPY 124. -0.0002 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
4 2006-06-26 4.41 SPY 125. 0.0044 0.0107 -0.0215 -0.0387 0.0505 0.282 0.0263 GLD 58.3 0.005 0.0341
5 2006-06-27 4.25 SPY 124. -0.0086 -0.0015 -0.0348 -0.0411 0.0399 0.254 0.0121 GLD 57.7 -0.0103 0.0066
6 2006-06-28 4.30 SPY 125. 0.0068 -0.0021 -0.0107 -0.0406 0.0383 0.277 0.0075 GLD 57.5 -0.00240 -0.0135
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
